Trend-Following Backtester · Guide · backtest 한국어
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KODEX KOSPI 100 ETF backtest
10 trend-following strategies were compared on the full daily history of KODEX KOSPI 100 ETF. 0 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR 12.4%, MDD -25.7%).
Results by strategy
0 of 10 beat buy and hold (CAGR 16.5%, drawdown -41.2%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR 12.4%, MDD -25.7%, Sharpe 0.86, 23% exposure.
CAGR reference leader: SMA 크로스오버 — CAGR 16.4%, MDD -41.2%, exposure 58%.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 4.1%p lower than buy and hold, while drawdown improves by 15.5%p (CAGR 12.4%, MDD -25.7%, exposure 23%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=47, threshold=19 |
12.4% | -25.7% | 0.86 | 0.48 | 3.4x | 12 | 23% |
| SMA 크로스오버 fast=20, slow=154 |
16.4% | -41.2% | 0.77 | 0.40 | 4.9x | 15 | 58% |
| EMA 크로스오버 fast=44, slow=68 |
16.1% | -41.2% | 0.75 | 0.39 | 4.8x | 15 | 61% |
| Donchian 채널 돌파 entryN=35, exitN=74 |
15.0% | -41.2% | 0.71 | 0.36 | 4.3x | 19 | 67% |
| Supertrend period=18, mult=4.4 |
11.8% | -36.9% | 0.66 | 0.32 | 3.2x | 52 | 53% |
| ROC 모멘텀 n=98, threshold=0.03 |
13.0% | -41.2% | 0.66 | 0.32 | 3.6x | 79 | 51% |
| Keltner 채널 돌파 emaPeriod=44, atrPeriod=20, mult=2.9 |
11.1% | -33.6% | 0.64 | 0.33 | 3.0x | 46 | 38% |
| 볼린저 밴드 돌파 n=29, k=2.1 |
10.3% | -29.7% | 0.63 | 0.35 | 2.8x | 56 | 32% |
| MACD fast=19, slow=55, signal=21 |
10.8% | -38.9% | 0.62 | 0.28 | 2.9x | 90 | 51% |
| Parabolic SAR step=0.015, maxStep=0.34 |
2.8% | -40.4% | 0.24 | 0.07 | 1.3x | 178 | 53% |
| Buy and hold | 16.5% | -41.2% | 0.72 | 0.40 | 5.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 47-day) is ≥ 19
- Sell — Sell when direction flips or the trend weakens (ADX < 19)